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Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences

https://doi.org/10.2139/ssrn.6864461
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Optimal Consumption and Portfolio Selection with Stochastic Differential Utility
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A solution approach to valuation with unhedgeable risks
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Consumption-portfolio optimization with recursive utility in incomplete markets
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Optimal consumption and investment with Epstein–Zin recursive utility
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Consumption in Incomplete Markets
inferredcites →https://doi.org/10.1007/s00780-022-00496-5openalex-snapshot
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$
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Proper solutions for Epstein–Zin stochastic differential utility
inferredcites →https://doi.org/10.1007/s00780-026-00594-8openalex-snapshot
An economic interpretation and mathematical analysis of Epstein–Zin stochastic differential utility for an infinite horizon when $\theta <0$
inferredcites →https://doi.org/10.1016/0304-4068(92)90028-6openalex-snapshot
PDE solutions of stochastic differential utility
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Continuous-time security pricing
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Stochastic differential utility as the continuous-time limit of recursive utility
inferredcites →https://doi.org/10.1016/j.spa.2003.09.001openalex-snapshot
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences
inferredcites →https://doi.org/10.1086/261750openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
inferredcites →https://doi.org/10.1093/rfs/5.3.411openalex-snapshot
Asset Pricing with Stochastic Differential Utility
inferredcites →https://doi.org/10.1093/rfs/9.1.141openalex-snapshot
Dynamic Nonmyopic Portfolio Behavior
inferredcites →https://doi.org/10.1111/mafi.12168openalex-snapshot
Convex duality for Epstein–Zin stochastic differential utility
inferredcites →https://doi.org/10.1111/mafi.12245openalex-snapshot
Lifetime investment and consumption with recursive preferences and small transaction costs
inferredcites →https://doi.org/10.1111/mafi.12404openalex-snapshot
Epstein‐Zin utility maximization on a random horizon
inferredcites →https://doi.org/10.1137/20m1331111openalex-snapshot
Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
inferredcites →https://doi.org/10.1162/003355399556043openalex-snapshot
Consumption and Portfolio Decisions when Expected Returns are Time Varying
inferredcites →https://doi.org/10.1214/11-aap767openalex-snapshot
Portfolios and risk premia for the long run
inferredcites →https://doi.org/10.2307/1913778openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
inferredcites →https://doi.org/10.2307/2951600openalex-snapshot
Stochastic Differential Utility
inferredcites →https://doi.org/10.3934/puqr.2023012openalex-snapshot
Optimal consumption and portfolio selection with Epstein–Zin utility under general constraints
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